Pandora outside U.S. - proxy alternatives?

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Since pandora is not available in uk, wanted to find a way to circumvent that.
Of course a classic proxy would be easy to set up - however i would prefer to keep most of my traffic proxy-free.

Essentially, is there a way to make, lets say, internet explorer use specific proxy settings (so it can do pandora) while the rest of my PC (firefox, steam,etc) dont use the proxy?

Because at the moment all the settings in the browsers all point towards a single unified connection control, editing which results in all PC connections being affected, rather than one specific browser's.